Added option to set the MaxPriceLevels when requesting level 2 market data by prices

src/IQFeed.CSharpApiClient.Tests.Integration/Streaming/Level2/Level2ClientTests.cs

@@ -119,6 +119,23 @@ public void Should_Receive_Summary_When_ReqWatchMarketByPrice()
             Assert.IsTrue(eventRaised.WaitOne());
         }
 
+        [Test, MaxTime(TimeoutMs)]
+        public void Should_Receive_Summary_When_ReqWatchMarketByPrice_With_MaxPriceLevels()
+        {
+            // Arrange
+            var eventRaised = new ManualResetEvent(false);
+            _level2Client.PriceLevelSummary += message =>
+            {
+                eventRaised.Set();
+            };
+
+            // Act
+            _level2Client.ReqWatchMarketByPrice(Symbol, 10);
+
+            // Assert
+            Assert.IsTrue(eventRaised.WaitOne());
+        }
+
         [Test, MaxTime(TimeoutMs)]
         [Description("Ignore the test if market closed")]
         public void Should_Receive_Update_When_ReqWatchMarketByPrice()

src/IQFeed.CSharpApiClient.Tests/Streaming/Common/Messages/SymbolHasNoDepthAvailableMessageTests.cs

@@ -0,0 +1,24 @@
+using IQFeed.CSharpApiClient.Streaming.Common.Messages;
+using IQFeed.CSharpApiClient.Tests.Common;
+using NUnit.Framework;
+
+namespace IQFeed.CSharpApiClient.Tests.Streaming.Common.Messages
+{
+    public class SymbolHasNoDepthAvailableMessageTests
+    {
+        [Test, TestCaseSource(typeof(CultureNameTestCase), nameof(CultureNameTestCase.CultureNames))]
+        public void Should_Parse_SymbolHasNoDepthAvailableMessage_Culture_Independent(string cultureName)
+        {
+            // Arrange
+            TestHelper.SetThreadCulture(cultureName);
+            var message = "q,MSFT";
+
+            // Act
+            var symbolHasNoDepthAvailableMessageParsed = SymbolHasNoDepthAvailableMessage.Parse(message);
+            var symbolHasNoDepthAvailableMessage = new SymbolHasNoDepthAvailableMessage("MSFT");
+
+            // Assert
+            Assert.AreEqual(symbolHasNoDepthAvailableMessageParsed, symbolHasNoDepthAvailableMessage);
+        }
+    }
+}

src/IQFeed.CSharpApiClient.Tests/Streaming/Level2/Level2MessageHandlerTests.cs

@@ -146,6 +146,26 @@ public void Should_Receive_SymbolNotFound()
             Assert.AreEqual(symbolNotFoundMessage, expectedMessage);
         }
 
+        [Test]
+        public void Should_Receive_SymbolHasNoDepthAvailable()
+        {
+            // Arrange
+            var message = TestHelper.GetMessageBytes("q,MSFT\r\n");
+            var expectedMessage = new SymbolHasNoDepthAvailableMessage("MSFT");
+
+            SymbolHasNoDepthAvailableMessage symbolHasNoDepthAvailableMessage = null;
+            _level2MessageHandler.SymbolHasNoDepthAvailable += msg =>
+            {
+              symbolHasNoDepthAvailableMessage = msg;
+            };
+
+            // Act
+            _level2MessageHandler.ProcessMessages(message, message.Length);
+
+            // Assert
+            Assert.AreEqual(symbolHasNoDepthAvailableMessage, expectedMessage);
+        }
+
         [Test]
         public void Should_Receive_Error()
         {
@@ -315,7 +335,7 @@ public void Should_Receive_PriceLevelSummaryMessages()
             var message = TestHelper.GetMessageBytes("7,@ESM19,B,2938.25,65,11,2,20:31:04.876740,2019-04-23,\r\n");
             TimeSpan.TryParseExact("20:31:04.876740", PriceLevelUpdateSummaryMessage.UpdateMessageTimeFormat, CultureInfo.InvariantCulture, TimeSpanStyles.None, out var time);
             DateTime.TryParseExact("2019-04-23", PriceLevelUpdateSummaryMessage.UpdateMessageDateFormat, CultureInfo.InvariantCulture, DateTimeStyles.None, out var date);
-            var expectedMessage = new PriceLevelUpdateSummaryMessage(Level2MessageType.PriceLevelSummary, "@ESM19", Level2Side.Buy, 2938.25, 65, 10, 2, time, date);
+            var expectedMessage = new PriceLevelUpdateSummaryMessage(Level2MessageType.PriceLevelSummary, "@ESM19", Level2Side.Buy, 2938.25, 65, 11, 2, time, date);
 
             PriceLevelUpdateSummaryMessage receivedMessage = null;
             _level2MessageHandler.PriceLevelSummary += msg =>
@@ -337,7 +357,7 @@ public void Should_Receive_PriceLevelUpdateMessages()
             var message = TestHelper.GetMessageBytes("8,@ESM19,B,2938.25,65,11,2,20:31:04.876740,2019-04-23,\r\n");
             TimeSpan.TryParseExact("20:31:04.876740", PriceLevelUpdateSummaryMessage.UpdateMessageTimeFormat, CultureInfo.InvariantCulture, TimeSpanStyles.None, out var time);
             DateTime.TryParseExact("2019-04-23", PriceLevelUpdateSummaryMessage.UpdateMessageDateFormat, CultureInfo.InvariantCulture, DateTimeStyles.None, out var date);
-            var expectedMessage = new PriceLevelUpdateSummaryMessage(Level2MessageType.PriceLevelUpdate, "@ESM19", Level2Side.Buy, 2938.25, 65, 10, 2, time, date);
+            var expectedMessage = new PriceLevelUpdateSummaryMessage(Level2MessageType.PriceLevelUpdate, "@ESM19", Level2Side.Buy, 2938.25, 65, 11, 2, time, date);
 
             PriceLevelUpdateSummaryMessage receivedMessage = null;
             _level2MessageHandler.PriceLevelUpdate += msg =>

src/IQFeed.CSharpApiClient.Tests/Streaming/Level2/Messages/Level2MessageTests.cs

@@ -80,15 +80,15 @@ public void Should_Parse_PriceLevelUpdateSummaryMessage_Culture_Independent(stri
             TimeSpan.TryParseExact("20:31:04.876740", PriceLevelUpdateSummaryMessage.UpdateMessageTimeFormat, CultureInfo.InvariantCulture, TimeSpanStyles.None, out var time);
             DateTime.TryParseExact("2019-04-23", PriceLevelUpdateSummaryMessage.UpdateMessageDateFormat, CultureInfo.InvariantCulture, DateTimeStyles.None, out var date);
             var priceLevelUpdateMessage = new PriceLevelUpdateSummaryMessage(Level2MessageType.PriceLevelUpdate, "@ESM19", Level2Side.Sell, 2938.25, 65, 10, 2, time, date);
-            var priceLevelSummaryMessage = new PriceLevelUpdateSummaryMessage(Level2MessageType.PriceLevelSummary, "@ESM19", Level2Side.Buy, 2938.25, 65, 10, 2, time, date);
+            var priceLevelSummaryMessage = new PriceLevelUpdateSummaryMessage(Level2MessageType.PriceLevelSummary, "@ESM19", Level2Side.Buy, 2938.25, 65, 11, 2, time, date);
 
             // Assert
             Assert.AreEqual(priceLevelUpdateMessageParsed, priceLevelUpdateMessage);
             Assert.AreEqual(priceLevelSummaryMessageParsed, priceLevelSummaryMessage);
         }
 
         [Test, TestCaseSource(typeof(CultureNameTestCase), nameof(CultureNameTestCase.CultureNames))]
-        public void Should_Parse_PriceLevelDeleteMessage_Culture_Independent(string cultureName)
+        public void Should_Parse_PriceLevelDeleteMessage_Ask_Culture_Independent(string cultureName)
         {
             // Arrange
             TestHelper.SetThreadCulture(cultureName);
@@ -104,5 +104,22 @@ public void Should_Parse_PriceLevelDeleteMessage_Culture_Independent(string cult
             Assert.AreEqual(priceLevelDeleteMessageParsed, priceLevelDeleteMessage);
         }
 
+        [Test, TestCaseSource(typeof(CultureNameTestCase), nameof(CultureNameTestCase.CultureNames))]
+        public void Should_Parse_PriceLevelDeleteMessage_Bid_Culture_Independent(string cultureName)
+        {
+            // Arrange
+            TestHelper.SetThreadCulture(cultureName);
+            var priceLevelDeleteMessageString = "9,@ESM19,B,2938.25,20:31:04.876740,2019-04-23,";
+
+            // Act
+            var priceLevelDeleteMessageParsed = PriceLevelDeleteMessage.Parse(priceLevelDeleteMessageString);
+            TimeSpan.TryParseExact("20:31:04.876740", PriceLevelDeleteMessage.UpdateMessageTimeFormat, CultureInfo.InvariantCulture, TimeSpanStyles.None, out var time);
+            DateTime.TryParseExact("2019-04-23", PriceLevelDeleteMessage.UpdateMessageDateFormat, CultureInfo.InvariantCulture, DateTimeStyles.None, out var date);
+            var priceLevelDeleteMessage = new PriceLevelDeleteMessage(Level2MessageType.PriceLevelDelete, "@ESM19", Level2Side.Buy, 2938.25, time, date);
+
+            // Assert
+            Assert.AreEqual(priceLevelDeleteMessageParsed, priceLevelDeleteMessage);
+        }
+
     }
 }

src/IQFeed.CSharpApiClient/Streaming/Common/Messages/SymbolHasNoDepthAvailableMessage.cs

@@ -0,0 +1,39 @@
+using IQFeed.CSharpApiClient.Extensions;
+
+namespace IQFeed.CSharpApiClient.Streaming.Common.Messages
+{
+    public class SymbolHasNoDepthAvailableMessage
+{
+        public SymbolHasNoDepthAvailableMessage(string symbol)
+        {
+            Symbol = symbol;
+        }
+
+        public string Symbol { get; private set; }
+
+        public static SymbolHasNoDepthAvailableMessage Parse(string message)
+        {
+            var values = message.SplitFeedMessage();
+            return new SymbolHasNoDepthAvailableMessage(values[1]);
+        }
+
+        public override bool Equals(object obj)
+        {
+            return obj is SymbolHasNoDepthAvailableMessage message &&
+                   Symbol == message.Symbol;
+        }
+
+        public override int GetHashCode()
+        {
+            unchecked
+            {
+                return -1758840423 + Symbol.GetHashCode();
+            }
+        }
+
+        public override string ToString()
+        {
+            return $"{nameof(Symbol)}: {Symbol}";
+        }
+    }
+}

src/IQFeed.CSharpApiClient/Streaming/Level2/ILevel2Client.cs

@@ -5,7 +5,7 @@ namespace IQFeed.CSharpApiClient.Streaming.Level2
     public interface ILevel2Client : IClient, ILevel2Event, ILevel2Snapshot
     {
         void ReqWatch(string symbol);
-        void ReqWatchMarketByPrice(string symbol);
+        void ReqWatchMarketByPrice(string symbol, int? maxPriceLevels = null);
         void ReqWatchMarketByOrder(string symbol);
         void ReqMarketMakerNameById(string mmid);
         void ReqUnwatch(string symbol);

src/IQFeed.CSharpApiClient/Streaming/Level2/ILevel2Event.cs

@@ -9,6 +9,7 @@ public interface ILevel2Event
         event Action<UpdateSummaryMessage> Summary;
         event Action<UpdateSummaryMessage> Update;
         event Action<SymbolNotFoundMessage> SymbolNotFound;
+        event Action<SymbolHasNoDepthAvailableMessage> SymbolHasNoDepthAvailable;
         event Action<MarketMakerNameMessage> Query;
         event Action<ErrorMessage> Error;
         event Action<TimestampMessage> Timestamp;

src/IQFeed.CSharpApiClient/Streaming/Level2/Level2Client.cs

@@ -19,6 +19,11 @@ public event Action<SymbolNotFoundMessage> SymbolNotFound
             add => _level2MessageHandler.SymbolNotFound += value;
             remove => _level2MessageHandler.SymbolNotFound -= value;
         }
+        public event Action<SymbolHasNoDepthAvailableMessage> SymbolHasNoDepthAvailable
+        {
+            add => _level2MessageHandler.SymbolHasNoDepthAvailable += value;
+            remove => _level2MessageHandler.SymbolHasNoDepthAvailable -= value;
+        }
         public event Action<ErrorMessage> Error
         {
             add => _level2MessageHandler.Error += value;
@@ -141,14 +146,14 @@ public void ReqWatch(string symbol)
             _socketClient.Send(request);
         }
 
-        public void ReqWatchMarketByPrice(string symbol)
+        public void ReqWatchMarketByPrice(string symbol, int? maxPriceLevels = null)
         {
             if (GetProtocolVersionAsNumber() <= 6.1M)
             {
                 throw new Exception($"ReqWatchMarketByPrice is only supported in protocols 6.2 and above.");
             }
 
-            var request = _level2RequestFormatter.ReqWatchMarketByPrice(symbol);
+            var request = _level2RequestFormatter.ReqWatchMarketByPrice(symbol, maxPriceLevels);
             _socketClient.Send(request);
         }
 

src/IQFeed.CSharpApiClient/Streaming/Level2/Level2MessageHandler.cs

@@ -11,6 +11,7 @@ public class Level2MessageHandler : ILevel2MessageHandler
         public event Action<UpdateSummaryMessage> Summary;
         public event Action<UpdateSummaryMessage> Update;
         public event Action<SymbolNotFoundMessage> SymbolNotFound;
+        public event Action<SymbolHasNoDepthAvailableMessage> SymbolHasNoDepthAvailable;
         public event Action<MarketMakerNameMessage> Query;
         public event Action<ErrorMessage> Error;
         public event Action<TimestampMessage> Timestamp;
@@ -77,6 +78,10 @@ public void ProcessMessages(byte[] messageBytes, int count)
                     case 'n': // Symbol not found message
                         ProcessSymbolNotFoundMessage(message);
                         break;
+                    case 'q': // No depth available message. (protocol 6.2 and above)
+                              // This message is received when a symbol is valid but there is currently no depth available.  
+                        ProcessSymbolHasNoDepthAvailableMessage(message);
+                        break;
                     case 'E': // An error message
                         ProcessErrorMessage(message);
                         break;
@@ -172,6 +177,12 @@ private void ProcessSymbolNotFoundMessage(string msg)
             SymbolNotFound?.Invoke(symbolNotFoundMessage);
         }
 
+        private void ProcessSymbolHasNoDepthAvailableMessage(string msg)
+        {
+            var symbolHasNoDepthAvailableMessage = SymbolHasNoDepthAvailableMessage.Parse(msg);
+            SymbolHasNoDepthAvailable?.Invoke(symbolHasNoDepthAvailableMessage);
+        }
+
         private void ProcessErrorMessage(string msg)
         {
             var errorMessage = ErrorMessage.Parse(msg);

src/IQFeed.CSharpApiClient/Streaming/Level2/Level2RequestFormatter.cs

@@ -9,9 +9,11 @@ public string ReqWatch(string symbol)
             return $"w{symbol.ToUpper()}{IQFeedDefault.ProtocolTerminatingCharacters}";
         }
 
-        public string ReqWatchMarketByPrice(string symbol)
+        public string ReqWatchMarketByPrice(string symbol, int? maxPriceLevels = null)
         {
-            return $"WPL,{symbol.ToUpper()}{IQFeedDefault.ProtocolTerminatingCharacters}";
+            return maxPriceLevels.HasValue 
+                ? $"WPL,{symbol.ToUpper()},{maxPriceLevels.Value}{IQFeedDefault.ProtocolTerminatingCharacters}"
+                : $"WPL,{symbol.ToUpper()}{IQFeedDefault.ProtocolTerminatingCharacters}";
         }
 
         public string ReqWatchMarketByOrder(string symbol)

src/IQFeed.CSharpApiClient/Streaming/Level2/Messages/PriceLevelDeleteMessage.cs

@@ -20,7 +20,7 @@ public PriceLevelDeleteMessage(
         {
             MessageType = messageType;
             Symbol = symbol;
-            Side = Side;
+            Side = side;
             Price = price;
             Time = time;
             Date = date;

src/IQFeed.CSharpApiClient/Streaming/Level2/Messages/PriceLevelUpdateSummaryMessage.cs

@@ -29,7 +29,7 @@ public PriceLevelUpdateSummaryMessage(
             Side = side;
             Price = price;
             Size = size;
-            orderCount = orderCount;
+            OrderCount = orderCount;
             Precision = precision;
             Time = time;
             Date = date;